Credit constraints and stock price volatility:
This paper addresses how creditor protection affects the volatility of stock market prices. Credit protection reduces the probability of oscillations between binding and non-binding states of the credit constraint; thereby lowering the rate of return variance. We test this prediction of a Tobin'...
Gespeichert in:
| Hauptverfasser: | , , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Cambridge, Mass.
National Bureau of Economic Research
2007
|
| Schriftenreihe: | Working paper series / National Bureau of Economic Research
13089 |
| Online-Zugang: | Volltext |
| Zusammenfassung: | This paper addresses how creditor protection affects the volatility of stock market prices. Credit protection reduces the probability of oscillations between binding and non-binding states of the credit constraint; thereby lowering the rate of return variance. We test this prediction of a Tobin's q model, by using cross-country panel regression on stock price volatility in 40 countries over the period from 1984 to 2004. Estimated probabilities of a liquidity crisis are used as a proxy for the probability that credit constraints are binding. We find support for the hypothesis that institutions that help reduce the probability of oscillations between binding and non-binding states of the credit constraint also reduce asset price volatility. |
| Beschreibung: | 30 S. graph. Darst. 22 cm |
Internformat
MARC
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| 245 | 1 | 0 | |a Credit constraints and stock price volatility |c Assaf Razin ; Assaf Razin ; Hui Tong |
| 264 | 1 | |a Cambridge, Mass. |b National Bureau of Economic Research |c 2007 | |
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| 490 | 1 | |a Working paper series / National Bureau of Economic Research |v 13089 | |
| 520 | 8 | |a This paper addresses how creditor protection affects the volatility of stock market prices. Credit protection reduces the probability of oscillations between binding and non-binding states of the credit constraint; thereby lowering the rate of return variance. We test this prediction of a Tobin's q model, by using cross-country panel regression on stock price volatility in 40 countries over the period from 1984 to 2004. Estimated probabilities of a liquidity crisis are used as a proxy for the probability that credit constraints are binding. We find support for the hypothesis that institutions that help reduce the probability of oscillations between binding and non-binding states of the credit constraint also reduce asset price volatility. | |
| 700 | 1 | |a Razin, Asaf |d 1941- |e Verfasser |0 (DE-588)124527051 |4 aut | |
| 700 | 1 | |a Tong, Hui |e Verfasser |0 (DE-588)129696374 |4 aut | |
| 776 | 0 | 8 | |i Erscheint auch als |n Online-Ausgabe |
| 810 | 2 | |a National Bureau of Economic Research <Cambridge, Mass.> |t NBER working paper series |v 13089 |w (DE-604)BV002801238 |9 13089 | |
| 856 | 4 | 1 | |u http://papers.nber.org/papers/w13089.pdf |z kostenfrei |3 Volltext |
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Datensatz im Suchindex
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| author | Hale, Galina Razin, Asaf 1941- Tong, Hui |
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| id | DE-604.BV023593001 |
| illustrated | Illustrated |
| index_date | 2024-07-02T22:41:31Z |
| indexdate | 2024-07-09T21:25:14Z |
| institution | BVB |
| language | English |
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| physical | 30 S. graph. Darst. 22 cm |
| publishDate | 2007 |
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| publisher | National Bureau of Economic Research |
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| series2 | Working paper series / National Bureau of Economic Research |
| spelling | Hale, Galina Verfasser (DE-588)131828061 aut Credit constraints and stock price volatility Assaf Razin ; Assaf Razin ; Hui Tong Cambridge, Mass. National Bureau of Economic Research 2007 30 S. graph. Darst. 22 cm txt rdacontent n rdamedia nc rdacarrier Working paper series / National Bureau of Economic Research 13089 This paper addresses how creditor protection affects the volatility of stock market prices. Credit protection reduces the probability of oscillations between binding and non-binding states of the credit constraint; thereby lowering the rate of return variance. We test this prediction of a Tobin's q model, by using cross-country panel regression on stock price volatility in 40 countries over the period from 1984 to 2004. Estimated probabilities of a liquidity crisis are used as a proxy for the probability that credit constraints are binding. We find support for the hypothesis that institutions that help reduce the probability of oscillations between binding and non-binding states of the credit constraint also reduce asset price volatility. Razin, Asaf 1941- Verfasser (DE-588)124527051 aut Tong, Hui Verfasser (DE-588)129696374 aut Erscheint auch als Online-Ausgabe National Bureau of Economic Research <Cambridge, Mass.> NBER working paper series 13089 (DE-604)BV002801238 13089 http://papers.nber.org/papers/w13089.pdf kostenfrei Volltext |
| spellingShingle | Hale, Galina Razin, Asaf 1941- Tong, Hui Credit constraints and stock price volatility |
| title | Credit constraints and stock price volatility |
| title_auth | Credit constraints and stock price volatility |
| title_exact_search | Credit constraints and stock price volatility |
| title_exact_search_txtP | Credit constraints and stock price volatility |
| title_full | Credit constraints and stock price volatility Assaf Razin ; Assaf Razin ; Hui Tong |
| title_fullStr | Credit constraints and stock price volatility Assaf Razin ; Assaf Razin ; Hui Tong |
| title_full_unstemmed | Credit constraints and stock price volatility Assaf Razin ; Assaf Razin ; Hui Tong |
| title_short | Credit constraints and stock price volatility |
| title_sort | credit constraints and stock price volatility |
| url | http://papers.nber.org/papers/w13089.pdf |
| volume_link | (DE-604)BV002801238 |
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